Drill bits, especially those used in masonry applications, can generate a substantial amount of dust. It is known to have a dust collector that shrouds a portion of the drill bit and/or a depth stop used in conjunction with the drill bit, adjacent to the workpiece, in order to collect the dust generated by the drill bit. It is also known to have a dust collector shroud that collapses as the drill bit is inserted into the workpiece. However, many of the known dust collecting shrouds do not work well because they either do not collapse at all as the drill bit is inserted into the workpiece, or collapse too quickly or completely to leave room to retain dust inside of dust collecting shroud.